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坏呼呼嘿嘿 · 2023年07月23日

极端市场波动这个麻烦给解释一下

  1. CFA III
  2. Alternative

NO.PZ2023010407000008

问题如下：

Yankel Stein is the chief investment officer of a large charitable foundation based in the United States. Although the foundation has significant exposure to alternative investments and hedge funds, Stein proposes to increase the foundation’s exposure to relative value hedge fund strategies. As part of Stein’s due diligence on a hedge fund engaging in convertible bond arbitrage, Stein asks his investment analyst to summarize different risks associated with the strategy.

Describe how each of the following circumstances can create concerns for Stein’s proposed hedge fund strategy: i. Short selling ii. Credit issues iii. Time decay of call option iv. Extreme market volatility

解释：


极端市场波动这个麻烦给解释一下

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1 个答案

伯恩_品职助教 · 2023年07月24日

嗨，从没放弃的小努力你好：


在极端市场环境下，CB会面临价值严重扭曲，偏离自身价值，市场大跌后，投资者心态是恐慌的，害怕进一步下跌，会要求赎回HF的份额，HF为了应该赎回的现金流的压力只能被迫以更低的价格卖出，进一步加剧市场恐慌下跌，进一步赎回。而且赎回是在价值低估情况下，所以在还没有等待危机过去价值恢复的时候就套现了，亏损成为事实。这种很少发生的大亏损出现了，自然就变成左偏风险了

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